public void Test_ManyTrades_Limit()
{
var trades = new List <LimitQueueItem.LimitTradeInfo>()
{
new LimitQueueItem.LimitTradeInfo
{
Volume = 0.9,
OppositeVolume = 8100,
Price = 9000,
Asset = "BTC",
OppositeAsset = "USD"
},
new LimitQueueItem.LimitTradeInfo
{
Volume = 0.3,
OppositeVolume = 2745,
Price = 9150,
Asset = "BTC",
OppositeAsset = "USD"
},
new LimitQueueItem.LimitTradeInfo
{
Volume = 0.1,
OppositeVolume = 920,
Price = 9200,
Asset = "BTC",
OppositeAsset = "USD"
}
};
Assert.Equal(9050, ConvertExtensions.CalcEffectivePrice(trades, GetDefaultPair(), false));
}
public void Test_Trade_Price_Rounding()
{
var pair = GetDefaultPair();
var trades = new List <TradeQueueItem.TradeInfo>()
{
new TradeQueueItem.TradeInfo
{
MarketVolume = 1,
LimitVolume = 10000,
Price = 10000,
MarketAsset = "BTC",
LimitAsset = "USD"
},
new TradeQueueItem.TradeInfo
{
MarketVolume = 2,
LimitVolume = 22000,
Price = 11000,
MarketAsset = "BTC",
LimitAsset = "USD"
}
};
Assert.Equal(10666.666, ConvertExtensions.CalcEffectivePrice(trades, pair, false), pair.Accuracy);
Assert.Equal(10666.667, ConvertExtensions.CalcEffectivePrice(trades, pair, true), pair.Accuracy);
}
public async Task <ClientTrade[]> Create(TradeQueueItem.MarketOrder order, List <TradeQueueItem.TradeInfo> trades, string clientId)
{
var assetPair = await _assetsServiceWithCache.TryGetAssetPairAsync(order.AssetPairId);
var trade = trades[0];
var price = ConvertExtensions.CalcEffectivePrice(trades, assetPair, order.Volume > 0);
var marketVolume = trades.Sum(x => x.MarketVolume);
var limitVolume = trades.Sum(x => x.LimitVolume);
var marketAssetRecord = CreateCommonPartForTradeRecord(trade, order.Id, price, order.AssetPairId);
var limitAssetRecord = CreateCommonPartForTradeRecord(trade, order.Id, price, order.AssetPairId);
marketAssetRecord.ClientId = limitAssetRecord.ClientId = clientId;
marketAssetRecord.Amount = marketVolume;
if (Math.Sign(marketVolume) == Math.Sign(limitVolume))
{
marketAssetRecord.Amount *= -1;
}
marketAssetRecord.AssetId = trade.MarketAsset;
limitAssetRecord.Amount = limitVolume;
limitAssetRecord.AssetId = trade.LimitAsset;
foreach (var t in trades)
{
var transfer = t.Fees?.FirstOrDefault()?.Transfer;
if (transfer != null)
{
if (marketAssetRecord.AssetId == transfer.Asset)
{
marketAssetRecord.FeeSize += (double)transfer.Volume;
marketAssetRecord.FeeType = FeeType.Absolute;
}
else
{
limitAssetRecord.FeeSize += (double)transfer.Volume;
limitAssetRecord.FeeType = FeeType.Absolute;
}
}
}
marketAssetRecord.Id = Core.Domain.CashOperations.Utils.GenerateRecordId(marketAssetRecord.DateTime);
limitAssetRecord.Id = Core.Domain.CashOperations.Utils.GenerateRecordId(limitAssetRecord.DateTime);
return(new[] { marketAssetRecord, limitAssetRecord });
}
public void Test_OneTrade_Market()
{
var trades = new List <TradeQueueItem.TradeInfo>()
{
new TradeQueueItem.TradeInfo
{
MarketVolume = 1,
LimitVolume = 8000,
Price = 9000,
MarketAsset = "BTC",
LimitAsset = "USD"
}
};
Assert.Equal(9000, ConvertExtensions.CalcEffectivePrice(trades, GetDefaultPair(), false));
}
public void Test_OneTrade_Limit()
{
var trades = new List <LimitQueueItem.LimitTradeInfo>()
{
new LimitQueueItem.LimitTradeInfo
{
Volume = 1,
OppositeVolume = 8000,
Price = 9000,
Asset = "BTC",
OppositeAsset = "USD"
}
};
Assert.Equal(9000, ConvertExtensions.CalcEffectivePrice(trades, GetDefaultPair(), false));
}
public void Test_Trade_With_Zero_Volume()
{
var trades = new List <TradeQueueItem.TradeInfo>()
{
new TradeQueueItem.TradeInfo
{
MarketVolume = 0.000001,
LimitVolume = 0,
Price = 9000,
MarketAsset = "BTC",
LimitAsset = "USD"
},
new TradeQueueItem.TradeInfo
{
MarketVolume = 0.3,
LimitVolume = 2745,
Price = 9150,
MarketAsset = "BTC",
LimitAsset = "USD"
}
};
Assert.Equal(9150, ConvertExtensions.CalcEffectivePrice(trades, GetDefaultPair(), false));
}